Skip to main content

Table 5 GARCH models and their performance on the cleansed log returns of daily stock price of Total Nigeria Plc

From: On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting

Model

Information criteria

Normal innovation

Student t innovation

sGARCH (1,1)

Akaike

− 4.9438

NA

Bayes

−4.9391

Shibata

−4.9438

Hannan-Quinn

−4.9421

gjrGARCH(1,1)

Akaike

−4.9434

NA

Bayes

−4.9371

Shibata

−4.9434

Hannan-Quinn

−4.9411

eGARCH(1,1)

Akaike

−4.9401

−5.8066

Bayes

−4.9338

−5.7988

Shibata

−4.9401

−5.8066

Hannan-Quinn

−4.9379

−5.8039

iGARCH(1,1)

Akaike

−4.9363

−6.3708

Bayes

−4.9331

− 6.3661

Shibata

−4.9363

−6.3708

Hannan-Quinn

−4.9352

−6.3691

apARCH(1,1)

Akaike

−4.9429

−12.693

Bayes

−4.9350

− 12.684

Shibata

−4.9429

−12.693

Hannan-Quinn

−4.9401

−12.690

TGARCH(1,1)

Akaike

−2.8546

−7.5955

Bayes

−2.8483

−7.5876

Shibata

−2.8546

−7.5955

Hannan-Quinn

−2.8523

−7.5927

NGARCH (1,1)

Akaike

−4.9433

−21.080

Bayes

−4.9370

−21.072

Shibata

−4.9433

−21.080

Hannan-Quinn

−4.9411

−21.077

NAGARCH (1,1)

Akaike

−4.9433

−6.3209

Bayes

−4.9371

−6.3131

Shibata

−4.9433

−6.3209

Hannan-Quinn

−4.9411

−6.3181

AVGARCH(1,1)

Akaike

−4.9363

−8.0452

Bayes

−4.9284

−8.0358

Shibata

−4.9363

−8.0452

Hannan-Quinn

−4.9335

−8.0419